High order compact Alternating Direction Implicit method for the generalized sine-Gordon equation

High order compact Alternating Direction Implicit scheme is given for solving the generalized sine-Gordon equation in a two-dimensional rectangular domain. We apply the compact finite difference operators to obtain a fourth order discretization for the second order space derivatives, and we give a linearized three time level algorithm for solving the original nonlinear equation. Error estimate is given by the energy method. Numerical results are provided to verify the accuracy and efficiency of this algorithm.     

A convergent scheme for a non local Hamilton Jacobi equation modelling dislocation dynamics

We study dislocation dynamics with a level set point of view. The model we present here looks at the zero level set of the solution of a non local Hamilton Jacobi equation, as a dislocation in a plane of a crystal. The front has a normal speed, depending on the solution itself. We prove existence and uniqueness for short time in the set of continuous viscosity solutions. We also present a first order finite difference scheme for the corresponding level set formulation of the model. The scheme is based on monotone numerical Hamiltonian, proposed by Osher and Sethian. The non local character of the problem makes it not monotone. We obtain an explicit convergence rate of the approximate solution to the viscosity solution. We finally provide numerical simulations.This work has been supported by funds from ACI JC 1041 “Mouvements d’interfaces avec termes non-locaux”, from ACI-JC 1025 “Dynamique des dislocations” and from ONERA, Office National d’Etudes et de Recherches. The second author was also supported by the ENPC-Région Ile de France.     

The solution of the two-dimensional sine-Gordon equation using the method of lines

The method of lines is used to transform the initial/boundary-value problem associated with the two-dimensional sine-Gordon equation in two space variables into a second-order initial-value problem. The finite-difference methods are developed by replacing the matrix-exponential term in a recurrence relation with rational approximants. The resulting finite-difference methods are analyzed for local truncation error, stability and convergence. To avoid solving the nonlinear system a predictor–corrector scheme using the explicit method as predictor and the implicit as corrector is applied. Numerical solutions for cases involving the most known from the bibliography line and ring solitons are given.     

A singular perturbation of the heat equation with memory

In this paper we consider a hyperbolic equation, with a memory term in time, which can be seen as a singular perturbation of the heat equation with memory. The qualitative properties of the solutions of the initial boundary value problems associated with both equations are studied. We propose numerical methods for the hyperbolic and parabolic models and their stability properties are analyzed. Finally, we include numerical experiments illustrating the performance of those methods.     

Application of the generalized finite difference method to solve the advection-diffusion equation

The study of the advection-diffusion equation continues to be an active field of research. The subject has important applications to fluid dynamics as well as many other branches of science and engineering.This paper shows the application of the generalized finite difference method to solve the advection-diffusion equation by the explicit method. The convergence of the method has been studied and the truncation error over irregular grids is given. An example has been solved using the explicit finite difference formulae and the criterion of stability.     

Dual-mixed finite element approximation of Stokes and nonlinear Stokes problems using trace-free velocity gradients

In this work a finite element method for a dual-mixed approximation of Stokes and nonlinear Stokes problems is studied. The dual-mixed structure, which yields a twofold saddle point problem, arises in a formulation of this problem through the introduction of unknown variables with relevant physical meaning. The method approximates the velocity, its gradient, and the total stress tensor, but avoids the explicit computation of the pressure, which can be recovered through a simple postprocessing technique. This method improves an existing approach for these problems and uses Raviart-Thomas elements and discontinuous piecewise polynomials for approximating the unknowns. Existence, uniqueness, and error results for the method are given, and numerical experiments that exhibit the reduced computational cost of this approach are presented.     

Finite difference discretization of the Kuramoto-Sivashinsky equation

Summary We analyze a Crank-Nicolson-type finite difference scheme for the Kuramoto-Sivashinsky equation in one space dimension with periodic boundary conditions. We discuss linearizations of the scheme and derive second-order error estimates.Work supported by the Institute of Applied and Computational Mathematics of the Research Center of Crete-FORTH     

Numerical approximation of the Cahn-Larché equation

Summary Spinodal decomposition, i.e., the separation of a homogeneous mixture into different phases, can be modeled by the Cahn-Hilliard equation - a fourth order semilinear parabolic equation. If elastic stresses due to a lattice misfit become important, the Cahn-Hilliard equation has to be coupled to an elasticity system to take this into account. Here, we present a discretization based on finite elements and an implicit Euler scheme. We first show solvability and uniqueness of solutions. Based on an energy decay property we then prove convergence of the scheme. Finally we present numerical experiments showing the impact of elasticity on the morphology of the microstructure.Research supported by DFG Priority Program Analysis, Modeling and Simulation of Multiscale Problems under AR234/5-2 and GA695/2-2     

On the convergence of finite difference schemes for the heat equation with concentrated capacity

Summary. We investigate the convergence of difference schemes for the one-dimensional heat equation when the coefficient at the time derivative (heat capacity) is represents the magnitude of the heat capacity concentrated at the point . An abstract operator method is developed for analyzing this equation. Estimates for the rate of convergence in special discrete energetic Sobolev's norms, compatible with the smoothness of the solution are obtained. Received November 2, 1999 / Revised version received July 24, 2000 / Published online May 4, 2001     

Relaxation approximation to bed-load sediment transport

In this work we propose and apply a numerical method based on finite volume relaxation approximation for computing the bed-load sediment transport in shallow water flows, in one and two space dimensions. The water flow is modeled by the well-known nonlinear shallow water equations which are coupled with a bed updating equation. Using a relaxation approximation, the nonlinear set of equations (and for two different formulations) is transformed to a semilinear diagonalizable problem with linear characteristic variables. A second order MUSCL-TVD method is used for the advection stage while an implicit–explicit Runge–Kutta scheme solves the relaxation stage. The main advantages of this approach are that neither Riemann problem solvers nor nonlinear iterations are required during the solution process. For the two different formulations, the applicability and effectiveness of the presented scheme is verified by comparing numerical results obtained for several benchmark test problems.     

A note on the application of the generalized finite difference method to seismic wave propagation in 2D

This paper shows the application of generalized finite difference method (GFDM) to the problem of seismic wave propagation. We investigated stability and star dispersion in 2D.     

A new high accuracy locally one-dimensional scheme for the wave equation

In this paper, a new locally one-dimensional (LOD) scheme with error of O(Δt⁴+h⁴) for the two-dimensional wave equation is presented. The new scheme is four layer in time and three layer in space. One main advantage of the new method is that only tridiagonal systems of linear algebraic equations have to be solved at each time step. The stability and dispersion analysis of the new scheme are given. The computations of the initial and boundary conditions for the two intermediate time layers are explicitly constructed, which makes the scheme suitable for performing practical simulation in wave propagation modeling. Furthermore, a comparison of our new scheme and the traditional finite difference scheme is given, which shows the superiority of our new method.     

Godunov-type approximation for a general resonant balance law with large data

We consider the Cauchy problem for the 2×2 nonstrictly hyperbolic system

     

Maximum norm error estimates of efficient difference schemes for second-order wave equations

The three-level explicit scheme is efficient for numerical approximation of the second-order wave equations. By employing a fourth-order accurate scheme to approximate the solution at first time level, it is shown that the discrete solution is conditionally convergent in the maximum norm with the convergence order of two. Since the asymptotic expansion of the difference solution consists of odd powers of the mesh parameters (time step and spacings), an unusual Richardson extrapolation formula is needed in promoting the second-order solution to fourth-order accuracy. Extensions of our technique to the classical ADI scheme also yield the maximum norm error estimate of the discrete solution and its extrapolation. Numerical experiments are presented to support our theoretical results.     

A robust and accurate finite difference method for a generalized Black-Scholes equation

In this paper we present a numerical method for a generalized Black-Scholes equation, which is used for option pricing. The method is based on a central difference spatial discretization on a piecewise uniform mesh and an implicit time stepping technique. Our scheme is stable for arbitrary volatility and arbitrary interest rate, and is second-order convergent with respect to the spatial variable. Furthermore, the present paper efficiently treats the singularities of the non-smooth payoff function. Numerical results support the theoretical results.     

Entropy production in second-order three-point schemes

Summary We discuss semi-discrete three-point finite difference methods for the numerical solution of system of conservation laws which are second order accurate in space in the sense of truncation error. Particular discretizations of the numerical entropy flux associated with such schemes are studied clarifying the importance of this discretization with regard to the production of numerical entropy. Using a numerical entropy flux constructed in a canonical way we prove that a wide class of finite difference methods cannot satisfy a discrete entropy inequality. Together with a well known result of Schonbek concerning Lax-Wendroff type schemes our result indicates a strong relationship between entropy production and oscillations in numerical solutions.The research reported here was supported by a grant from the Stiftung Volkswagenwerk, Federal Republic of Germany. It is a part of the doctoral thesis of the above author, Universität Stuttgart, 1991.     

Error and extrapolation of a compact LOD method for parabolic differential equations

This paper is concerned with a compact locally one-dimensional (LOD) finite difference method for solving two-dimensional nonhomogeneous parabolic differential equations. An explicit error estimate for the finite difference solution is given in the discrete infinity norm. It is shown that the method has the accuracy of the second-order in time and the fourth-order in space with respect to the discrete infinity norm. A Richardson extrapolation algorithm is developed to make the final computed solution fourth-order accurate in both time and space when the time step equals the spatial mesh size. Numerical results demonstrate the accuracy and the high efficiency of the extrapolation algorithm.     

Stability and accuracy of time-extrapolated ADI-FDTD methods for solving wave equations

Some recent work on the ADI-FDTD method for solving Maxwell's equations in 3-D have brought out the importance of extrapolation methods for the time stepping of wave equations. Such extrapolation methods have previously been used for the solution of ODEs. The present context (of wave equations) brings up two main questions which have not been addressed previously: (1) when will extrapolation in time of an unconditionally stable scheme for a wave equation again feature unconditional stability, and (2) how will the accuracy and computational efficiency depend on how frequently in time the extrapolations are carried out. We analyze these issues here.     

IMEX Runge–Kutta schemes for reaction–diffusion equations

A fundamental research is carried out into convergence and stability properties of IMEX (implicit–explicit) Runge–Kutta schemes applied to reaction–diffusion equations. It is shown that a fully discrete scheme converges if it satisfies certain conditions using a technique of the B-convergence analysis, developed by Burrage, Hundsdorfer and Verwer in 1986. Stability of the schemes is also examined on the basis of a scalar test equation, proposed by Frank, Hundsdorfer and Verwer in 1997.